Citi plans crisis derivatives
Credit specialists at Citi are considering launching the first derivatives intended to pay out in the event of a financial crisis. The firm has drawn up plans for a tradable liquidity index, known as the CLX, on which products could be structured that allow buyers to hedge a spike in funding costs.
Like the untraded US rates liquidity index (USRLI), the CLX is constructed as a sum of the Sharpe
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